2017/10/23 by Manaf Ahmed, Véronique Maume‐Deschamps, Ahmed, M. +5
Economics, Econometrics and Finance · Environmental Science · #Climate variability and models #FOS: Mathematics #Hydrology and Drought Analysis #Probability (math.PR) #Spatial and Panel Data Analysis #Statistics Theory (math.ST)
paper · pdf · doi:10.48550/arxiv.1710.08120
openalex publication_date 2017/10/23 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We proposed a semi-parametric estimation procedure in order to estimate the parameters of a max-mixture model and also of a max-stable model (inverse max-stable model) as an alternative to composite likelihood. A good estimation by the proposed estimator required the dependence measure to detect all dependence structures in the model, especially when dealing with the max-mixture model. We overcame this challenge by using the F-madogram. The semi-parametric estimation was then based on a quasi least square method, by minimizing the square difference between the theoretical F-madogram and an empirical one. We evaluated the performance of this estimator through a simulation study. It was shown that on an average, the estimation is performed well, although in some cases, it encountered some difficulties. We apply our estimation procedure to model the daily rainfalls over the East Australia.